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Selected Empirical Results on Portfolio Optimization

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094583" target="_blank" >RIV/61989100:27510/15:86094583 - isvavai.cz</a>

  • Result on the web

    <a href="https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf" target="_blank" >https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Selected Empirical Results on Portfolio Optimization

  • Original language description

    The development in the portfolio theory goes hand in hand with the increase of computer&apos;s computational power, which allows to apply more complex performance ratios and obtain the results in the reasonable time. The most known performance ratio is Sharpe ratio formulated in 1966 by William F. Sharpe in order to measure the performance of mutual funds. Since then, many new performance ratios were proposed. In the paper we focus on mean absolute deviation (MAD) ratio and Rachev ratio. Although these ratios were proposed to improve the portfolio allocation, we empirically demonstrate that this need not be necessarily true. On the historical dataset of DJIA components we empirically show that both Sharpe ratio and MAD ratio outperform the Rachev ratio. In the paper we assume two datasets – composition of DJIA as of the beginning of analyzed period (the correct dataset) and as of the end of analyzed period (incorrect dataset) and quantify the influence of a survivorship bias.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    50206 - Finance

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2015

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    18 Annual International Conference Enterprise and Competitive Environment Conference Proceedings

  • ISBN

    978-80-7509-342-4

  • ISSN

  • e-ISSN

    neuvedeno

  • Number of pages

    10

  • Pages from-to

    422-431

  • Publisher name

    Mendelova univerzita v Brně

  • Place of publication

    Brno

  • Event location

    Brno

  • Event date

    Mar 5, 2015

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000380464000047